feat(trader): limit.py 涨跌停板块表+封板判断(T字板保守拒单)

2026-07-07 09:39:58 +08:00
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+"""A 股涨跌停纯函数（板块表 + 封板判断）。
+
+全函数无副作用，全部用 **raw** 价格（spec §3.3 / §6.2）。
+封板判据：
+- 严格一字板：open=high=low=close=limit_price → 无对手盘
+- T 字板（涨停）：开=涨停 收=涨停 low<open → 盘中砸过板，保守拒单
+- T 字板（跌停）：开=跌停 收=跌停 high>open → 盘中反弹过，对称保守拒单
+"""
+import pandas as pd
+
+
+# ---- 板块分类（按代码前缀）----
+def get_board(symbol: str) -> str:
+    """按 symbol 前缀判断板块（spec §6.2）。"""
+    if symbol.startswith(("300", "301")):
+        return "gem"      # 创业板
+    if symbol.startswith(("688", "689")):
+        return "star"     # 科创板
+    if symbol.startswith(("8", "4", "920")):
+        return "bse"      # 北交所
+    return "main"         # 沪/深主板
+
+
+_LIMIT_RATIO = {"main": 0.10, "gem": 0.20, "star": 0.20, "bse": 0.30}
+_ST_RATIO = 0.05
+
+
+def limit_ratio(board: str, is_st: bool) -> float:
+    """涨跌停幅度。ST 统一 5%（北交所 ST 同 30%）。"""
+    if is_st and board != "bse":
+        return _ST_RATIO
+    return _LIMIT_RATIO[board]
+
+
+# ---- 涨跌停价（按 pricetick 四舍五入取整）----
+def limit_up_price(prev_close_raw: float, ratio: float, pricetick: float) -> float:
+    return round(prev_close_raw * (1 + ratio) / pricetick) * pricetick
+
+
+def limit_down_price(prev_close_raw: float, ratio: float, pricetick: float) -> float:
+    return round(prev_close_raw * (1 - ratio) / pricetick) * pricetick
+
+
+# ---- 封板形态 ----
+def is_one_word_lock(bar: pd.Series, limit_price: float) -> bool:
+    """严格一字板：开=高=低=收=limit_price。"""
+    return bool(
+        bar["open"] == bar["high"] == bar["low"] == bar["close"] == limit_price
+    )
+
+
+def is_t_lock(bar: pd.Series, limit_price: float) -> bool:
+    """T 字板（涨停型）：开=涨停、收=涨停、low<open（盘中砸过涨停）。"""
+    return bool(
+        bar["open"] == limit_price
+        and bar["close"] == limit_price
+        and bar["low"] < bar["open"]
+    )
+
+
+def _is_t_lock_down(bar: pd.Series, limit_price: float) -> bool:
+    """T 字板（跌停型，对称）：开=跌停、收=跌停、high>open（盘中反弹过跌停）。"""
+    return bool(
+        bar["open"] == limit_price
+        and bar["close"] == limit_price
+        and bar["high"] > bar["open"]
+    )
+
+
+# ---- 正式入口（带 symbol，自动判板块）----
+def is_locked_for_buy_symbol(
+    bar: pd.Series,
+    symbol: str,
+    prev_close_raw: float,
+    cfg,
+    is_st: bool = False,
+) -> bool:
+    """涨停封板（一字板或 T 字板）→ 买单拒单。"""
+    board = get_board(symbol)
+    up = limit_up_price(prev_close_raw, limit_ratio(board, is_st), cfg.pricetick)
+    return is_one_word_lock(bar, up) or is_t_lock(bar, up)
+
+
+def is_locked_for_sell_symbol(
+    bar: pd.Series,
+    symbol: str,
+    prev_close_raw: float,
+    cfg,
+    is_st: bool = False,
+) -> bool:
+    """跌停封板（一字板或跌停 T 字板）→ 卖单拒单。"""
+    board = get_board(symbol)
+    down = limit_down_price(prev_close_raw, limit_ratio(board, is_st), cfg.pricetick)
+    return is_one_word_lock(bar, down) or _is_t_lock_down(bar, down)
@@ -0,0 +1,153 @@
+"""A 股涨跌停纯函数测试（板块表 + 封板判断）。全用 raw 价格。"""
+import pandas as pd
+
+from sanguo_trader.limit import (
+    get_board,
+    limit_ratio,
+    limit_up_price,
+    limit_down_price,
+    is_one_word_lock,
+    is_t_lock,
+    is_locked_for_buy_symbol,
+    is_locked_for_sell_symbol,
+)
+from sanguo_trader.models import AccountConfig
+
+CFG = AccountConfig(initial_capital=1_000_000)
+
+
+def bar(open, high, low, close):
+    return pd.Series({"open": open, "high": high, "low": low, "close": close})
+
+
+# ---- 板块分类 ----
+def test_board_classification():
+    assert get_board("600000") == "main"     # 沪市主板
+    assert get_board("000001") == "main"     # 深市主板
+    assert get_board("300750") == "gem"      # 创业板
+    assert get_board("301128") == "gem"      # 创业板（301）
+    assert get_board("688981") == "star"     # 科创板
+    assert get_board("689009") == "star"     # 科创板（689）
+    assert get_board("830799") == "bse"      # 北交所
+    assert get_board("920002") == "bse"      # 北交所（920）
+
+
+# ---- 幅度查表 ----
+def test_limit_ratio():
+    assert limit_ratio("main", is_st=False) == 0.10
+    assert limit_ratio("gem", is_st=False) == 0.20
+    assert limit_ratio("star", is_st=False) == 0.20
+    assert limit_ratio("bse", is_st=False) == 0.30
+    # ST 统一 5%
+    assert limit_ratio("main", is_st=True) == 0.05
+    assert limit_ratio("gem", is_st=True) == 0.05
+    assert limit_ratio("star", is_st=True) == 0.05
+    assert limit_ratio("bse", is_st=True) == 0.30  # 北交所 ST 同 30%
+
+
+# ---- 涨跌停价（按 pricetick 取整）----
+def test_limit_up_price_rounds_to_pricetick():
+    # 10.00 * 1.10 = 11.00
+    assert limit_up_price(10.0, 0.10, 0.01) == 11.0
+    # 9.99 * 1.20 = 11.988 → 11.99
+    assert limit_up_price(9.99, 0.20, 0.01) == 11.99
+    # 5.00 * 1.30 = 6.5
+    assert limit_up_price(5.0, 0.30, 0.01) == 6.5
+
+
+def test_limit_down_price_rounds_to_pricetick():
+    # 10.00 * 0.90 = 9.00
+    assert limit_down_price(10.0, 0.10, 0.01) == 9.0
+    # 10.00 * 0.80 = 8.00
+    assert limit_down_price(10.0, 0.20, 0.01) == 8.0
+
+
+# ---- 一字板 / T 字板 ----
+def test_one_word_lock_detected():
+    up = limit_up_price(10.0, 0.10, 0.01)
+    assert is_one_word_lock(bar(11.0, 11.0, 11.0, 11.0), up) is True
+    # 非一字
+    assert is_one_word_lock(bar(11.0, 11.5, 10.8, 11.0), up) is False
+    assert is_one_word_lock(bar(11.0, 11.0, 10.5, 11.0), up) is False  # T 字板非一字
+
+
+def test_t_lock_detected():
+    up = limit_up_price(10.0, 0.10, 0.01)
+    # T 字板：开=涨停 收=涨停 low<open
+    assert is_t_lock(bar(11.0, 11.0, 10.5, 11.0), up) is True
+    # 一字板不是 T 字板
+    assert is_t_lock(bar(11.0, 11.0, 11.0, 11.0), up) is False
+    # 开≠涨停 不是 T 字板
+    assert is_t_lock(bar(10.5, 11.0, 10.5, 11.0), up) is False
+
+
+# ---- 买单封板拒单（按 symbol 自动判板块）----
+def test_buy_locked_one_word_main_board():
+    # 主板 600000，一字涨停 → 买不进
+    assert is_locked_for_buy_symbol(
+        bar(11.0, 11.0, 11.0, 11.0), "600000", 10.0, CFG, is_st=False
+    ) is True
+
+
+def test_buy_locked_t_lock_conservative():
+    # T 字板 → 保守拒买
+    assert is_locked_for_buy_symbol(
+        bar(11.0, 11.0, 10.5, 11.0), "600000", 10.0, CFG, is_st=False
+    ) is True
+
+
+def test_buy_not_locked_when_opened():
+    # 开板（low 远低于涨停）→ 可买
+    assert is_locked_for_buy_symbol(
+        bar(10.5, 10.8, 10.2, 10.6), "600000", 10.0, CFG, is_st=False
+    ) is False
+
+
+def test_buy_locked_gem_board_20pct():
+    # 创业板 300750，10.00 → 涨停 12.00
+    assert is_locked_for_buy_symbol(
+        bar(12.0, 12.0, 12.0, 12.0), "300750", 10.0, CFG, is_st=False
+    ) is True
+
+
+def test_buy_locked_star_board_20pct():
+    # 科创板 688981
+    assert is_locked_for_buy_symbol(
+        bar(12.0, 12.0, 12.0, 12.0), "688981", 10.0, CFG, is_st=False
+    ) is True
+
+
+def test_buy_locked_bse_board_30pct():
+    # 北交所 830799，5.00 → 涨停 6.5
+    assert is_locked_for_buy_symbol(
+        bar(6.5, 6.5, 6.5, 6.5), "830799", 5.0, CFG, is_st=False
+    ) is True
+
+
+def test_buy_locked_st_5pct():
+    # ST 股 5% 涨停，10.00 → 10.50
+    assert is_locked_for_buy_symbol(
+        bar(10.5, 10.5, 10.5, 10.5), "600000", 10.0, CFG, is_st=True
+    ) is True
+
+
+# ---- 卖单封板（跌停对称）----
+def test_sell_locked_one_word_limit_down():
+    # 主板一字跌停：10 → 9.0
+    assert is_locked_for_sell_symbol(
+        bar(9.0, 9.0, 9.0, 9.0), "600000", 10.0, CFG, is_st=False
+    ) is True
+
+
+def test_sell_locked_t_lock_limit_down():
+    # 跌停 T 字板：开=跌停 收=跌停 high>open（盘中反弹过）
+    assert is_locked_for_sell_symbol(
+        bar(9.0, 9.5, 9.0, 9.0), "600000", 10.0, CFG, is_st=False
+    ) is True
+
+
+def test_sell_not_locked_when_opened():
+    # 非跌停形态 → 可卖
+    assert is_locked_for_sell_symbol(
+        bar(9.5, 9.8, 9.2, 9.6), "600000", 10.0, CFG, is_st=False
+    ) is False